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Addressing COVID-19 outliers in BVARs with stochastic volatility

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2022

The COVID-19 pandemic has led to enormous data movements that strongly affect parameters and forecasts from standard … transitory and persistent changes in volatility. The resulting density forecasts are much less sensitive to outliers in the data …

Persistent link: https://www.econbiz.de/10013184356

Labour at risk

Botelho, Vasco; Foroni, Claudia; Renzetti, Andrea - 2023

We propose a Bayesian VAR model with stochastic volatility and time varying skewness to estimate the degree of labour at risk in the euro area and in the United States. We model the asymmetry of the shocks to changes in the unemployment rate as a function of real activity and financial risk...

Persistent link: https://www.econbiz.de/10014362647

Combining large numbers of density predictions with Bayesian predictive synthesis

Chernis, Tony - 2023 - Last updated: August 21, 2023

Bayesian predictive synthesis is a flexible method of combining density predictions. The flexibility comes from the ability to choose an arbitrary synthesis function to combine predictions. I study the choice of synthesis function when combining large numbers of predictions-a common occurrence...

Persistent link: https://www.econbiz.de/10014456598

Evaluating an estimated new Keynesian small open economy model

Adolfson, Malin; Laséen, Stefan; Lindé, Jesper; … - 2007

This paper estimates and tests a new Keynesian small open economy model in the tradition of Christiano, Eichenbaum, and Evans (2005) and Smets and Wouters (2003) using Bayesian estimation techniques on Swedish data. To account for the switch to an inflation targeting regime in 1993 we allow for...

Persistent link: https://www.econbiz.de/10010320727

Forecasting with a panel Tobit model

Liu, Laura; Moon, Hyungsik Roger; Schorfheide, Frank - In: Quantitative Economics 14 (2023) 1, pp. 117-159

We use a dynamic panel Tobit model with heteroskedasticity to generate forecasts for a large cross-section of short …-sectional distribution of heterogeneous coefficients and then implicitly use this distribution as prior to construct Bayes forecasts for the … individual time series. In addition to density forecasts, we construct set forecasts that explicitly target the average coverage …

Persistent link: https://www.econbiz.de/10014536986

What drives the European carbon market? Macroeconomic factors and forecasts

Bastianin, Andrea; Mirto, Elisabetta; Qin, Yan; … - 2024

forecasts for the monthly real price of carbon within the EU Emissions Trading Scheme (EU ETS). We aim to uncover supply- and … predictors affecting the price of carbon, provides substantial accuracy gains over a wide set of benchmark forecasts, including … survey expectations and forecasts made available by data providers. We extend the study to verified emissions and demonstrate …

Persistent link: https://www.econbiz.de/10014548224

Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models

Warne, Anders; Coenen, Günter; Christoffel, Kai - 2014

The predictive likelihood is of particular relevance in a Bayesian setting when the purpose is to rank models in a forecast comparison exercise. This paper discusses how the predictive likelihood can be estimated for any subset of the observable variables in linear Gaussian state-space models...

Persistent link: https://www.econbiz.de/10010420345

Money Growth and Inflation: evidence from a Markov Switching Bayesian VAR

Amisano, Gianni; Colavecchio, Roberta - 2013

We contribute to the empirical debate on the role of money in monetary policy by analysing the features of the relationship between money growth and inflation in a Bayesian Markov Switching framework for a set of four countries, the US, the UK, the Euro area and Japan, over an estimation period...

Persistent link: https://www.econbiz.de/10010420839

A money-based indicator for deflation risk

Amisano, Gianni; Colavecchio, Roberta; Fagan, Gabriel - 2014

We employ a money-based early warning model in order to analyse the risk of a low inflation regime in the euro area, Japan and the US. The model specification allows for three different inflation regimes: Low, Medium and High inflation, while state transition probabilities vary over time as a...

Persistent link: https://www.econbiz.de/10010420864

Bayesian calibration of generalized pools of predictive distributions

Casarin, Roberto; Mantoan, Giulia; Ravazzolo, Francesco - In: Econometrics 4 (2016) 1, pp. 1-24

Decision-makers often consult different experts to build reliable forecasts on variables of interest. Combining more …

Persistent link: https://www.econbiz.de/10011755324